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Glossary Advanced Regression / Term

Mallows' Cp

A measure of the bias in a model based on a comparison of total Mean Squared Error to the true error variance. Unbiased models have an expected Cp value of approximately p, where p is the number of coefficients in the fitted model. Cp is based on the assumption that the model that contains all the candidate variables is unbiased; therefore, the full model will always have Cp = p. Look for models that have Cp values close to p.

Permanent link Mallows' Cp - Modification date 2020-01-17 - Creation date 2020-01-17


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